Tag: weekly

Index Update 25.04.2015

stockviz April 25, 2015April 25, 2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

Refactored Index Performance

50-day performance, from February 10, 2015 through April 24, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+5.98%	CNX INFRA (CAP)	+4.81%
CNX MNC (EQUAL)	+2.47%	CNX PHARMA (CAP)	+1.98%
CNX INFRA (EQUAL)	+1.31%	CNX MNC (CAP)	+1.22%
CNX CONSUMPTION (EQUAL)	+0.14%	LIX15 Midcap (CAP)	+0.64%
CNX AUTO (EQUAL)	+0.09%	CNX CONSUMPTION (CAP)	-0.74%
CNX ENERGY (EQUAL)	+0.03%	CNX METAL (CAP)	-1.41%
LIX15 Midcap (EQUAL)	-0.25%	CNX FMCG (CAP)	-1.56%
NI15 (EQUAL)	-0.73%	CNX ENERGY (CAP)	-1.67%
CNX PSE (EQUAL)	-0.88%	CNX AUTO (CAP)	-1.82%
CNX IT (EQUAL)	-1.51%	CNX PSE (CAP)	-1.88%
CNX COMMODITIES (EQUAL)	-2.32%	CNX COMMODITIES (CAP)	-2.07%
CNX FINANCE (EQUAL)	-2.52%	CNX FINANCE (CAP)	-3.29%
CPSE INDEX (EQUAL)	-2.52%	NI15 (CAP)	-3.47%
CNX SERVICE (EQUAL)	-2.69%	CNX SERVICE (CAP)	-3.89%
CNX BANK (EQUAL)	-3.56%	CNX BANK (CAP)	-4.04%
NV20 (EQUAL)	-3.59%	LIX 15 (CAP)	-4.56%
CNX PHARMA (EQUAL)	-3.80%	CNX PSU BANK (CAP)	-4.59%
LIX 15 (EQUAL)	-3.86%	NV20 (CAP)	-4.71%
CNX MEDIA (EQUAL)	-4.14%	CPSE INDEX (CAP)	-4.96%
CNX METAL (EQUAL)	-5.45%	CNX MEDIA (CAP)	-7.68%
CNX PSU BANK (EQUAL)	-5.83%	CNX REALTY (CAP)	-8.07%
CNX REALTY (EQUAL)	-7.39%	CNX IT (CAP)	-8.24%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	10.28	2015-Jan-27
CNX BANK	SHORT	12.42	2015-Jan-27
CNX ENERGY	SHORT	29.16	2008-Jan-14
CNX FMCG	SHORT	7.58	2015-Feb-25
CNX INFRA	SHORT	48.62	2008-Jan-09
CNX MEDIA	SHORT	28.84	2008-Jan-04
CNX METAL	SHORT	55.32	2008-Jan-04
CNX MNC	SHORT	6.69	2015-Mar-12
CNX NIFTY	SHORT	7.68	2015-Mar-03
CNX PHARMA	SHORT	11.72	2015-Apr-08
CNX PSE	SHORT	25.79	2008-Jan-04

ENERGY, INFRA, MEDIA, METAL and PSE sub-indices are well below their 2008 boom-era heights. Banks and Pharma have been badly hit this year. Will MNCs provide cover?
Our trend model is short on all indices right now, probably indicating that the market is over-sold…

Categories Your Money Tags index, momentum, weekly

Correlation Update 25.04.2015

stockviz April 25, 2015April 25, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Categories Your Money Tags correlation, weekly

Weekly Recap 18.04.2015

shyam April 18, 2015

world.2015-4-10.2015-4-17

Equities

Major
DAX(DEU)	-5.54%
CAC(FRA)	-1.85%
UKX(GBR)	-1.34%
NKY(JPN)	-1.28%
SPX(USA)	-0.98%

MINTs
JCI(IDN)	-1.47%
INMEX(MEX)	+0.21%
NGSEINDX(NGA)	+0.22%
XU030(TUR)	-0.29%

BRICS
IBOV(BRA)	-0.40%
SHCOMP(CHN)	+6.27%
NIFTY(IND)	-1.99%
INDEXCF(RUS)	-0.03%
TOP40(ZAF)	+0.76%

Commodities

Energy
Brent Crude Oil	+10.29%
RBOB Gasoline	+7.53%
WTI Crude Oil	+9.18%
Ethanol	+3.14%
Natural Gas	+5.26%
Heating Oil	+7.64%

Metals
Copper	+1.82%
Gold 100oz	-0.26%
Silver 5000oz	+0.62%
Palladium	+1.02%
Platinum	-0.04%

Currencies

USDEUR:-2.00% USDJPY:-1.11%

MINTs
USDIDR(IDN)	-0.60%
USDMXN(MEX)	+0.89%
USDNGN(NGA)	-0.04%
USDTRY(TUR)	+1.81%

BRICS
USDBRL(BRA)	-1.57%
USDCNY(CHN)	-0.17%
USDINR(IND)	+0.07%
USDRUB(RUS)	-2.66%
USDZAR(ZAF)	+0.76%

Agricultural
Cotton	-2.53%
Orange Juice	+3.22%
Soybeans	+1.79%
Cattle	-0.63%
Cocoa	-0.05%
Coffee (Robusta)	-0.66%
Soybean Meal	+1.71%
Corn	+0.66%
Lean Hogs	+12.76%
Sugar #11	+2.10%
Coffee (Arabica)	+3.00%
Feeder Cattle	+0.28%
Lumber	-7.98%
Wheat	-6.23%
White Sugar	+1.78%

Credit Indices

Index	Change
Markit CDX EM	-0.13%
Markit CDX NA HY	-0.08%
Markit CDX NA IG	+0.10%
Markit iTraxx Asia ex-Japan IG	+0.96%
Markit iTraxx Australia	+0.03%
Markit iTraxx Europe	-0.46%
Markit iTraxx Europe Crossover	+1.35%
Markit iTraxx Japan	-3.42%
Markit iTraxx SovX Western Europe	+0.69%
Markit LCDX (Loan CDS)	-0.02%
Markit MCDX (Municipal CDS)	-2.29%

Nifty looks benign compared to what hit the broader market. Friday was especially brutal for the German DAX and the negative sentiment might spillover to the Asian markets on Monday. However, the Shanghai Composite seems to be on another planet altogether…

Nifty Heatmap

Index Returns

Advance Decline

advance.decline.line2.2015-4-10.2015-4-17

Market Cap Decile Performance

Decile	Mkt. Cap.	Adv/Decl
1 (micro)	-2.71%	76/59
2	+3.43%	71/63
3	+2.70%	74/60
4	+2.47%	69/66
5	+1.37%	70/64
6	+1.34%	66/68
7	+0.36%	66/69
8	+0.41%	73/61
9	-0.36%	69/65
10 (mega)	-0.99%	67/68

Large caps got hammered…

Top Winners and Losers

SSLT	+4.40%
ONGC	+6.54%
OIL	+11.39%
BHARATFORG	-10.11%
LUPIN	-9.88%
SRTRANSFIN	-9.75%

Bharat Forge and Lupin got shellacked by downgrades…

ETF Performance

PSUBNKBEES	+3.39%
GOLDBEES	+0.41%
CPSEETF	-0.28%
INFRABEES	-0.93%
NIFTYBEES	-1.54%
BANKBEES	-2.24%
JUNIORBEES	-3.26%

Note the divergence between PSU banks and the overall banking sector. Puzzling…

Yield Curve

Bond Indices

Sub Index	Change in YTM	Total Return(%)
GSEC TB	-0.01	+0.15%
GSEC SUB 1-3	-0.63	-0.31%
GSEC SUB 3-8	-0.06	-0.04%
GSEC SUB 8	+0.01	+0.24%

The long-end caught a bid…

Investment Theme Performance

PPFAS Long Term Value	+0.05%
Balance Sheet Strength	-0.25%
Financial Strength Value	-0.62%
Textile, Metals, Chemicals, Paper and Energy Quality to Price	-1.30%
Auto and Consumer Goods Quality to Price	-1.47%
Tactical CNX 100	-1.91%
Quality to Price	-2.09%
Momentum	-2.34%
ADAG stocks	-2.75%
Low Volatility	-3.02%
Magic Formula	-3.15%
ASK Life	-3.21%
CNX 100 Enterprise Yield	-3.46%
Media, Health, IT, Telecom, Services, Pharma Quality To Price	-3.48%
High Beta	-3.84%
Next Trillion	-7.20%

No investment strategy could withstand the storm…

Equity Mutual Funds

Best
Mirae Asset Global Commodity Stocks – Growth Option	+3.76%
Reliance Japan Equity Fund- Growth Plan- Growth Option	+2.08%
Mirae Asset China Advantage Fund – Regular Plan Growth Option	+1.82%
SBI Smal & Midcap – Regular Plan – Growth	+1.44%
Birla Sun Life International Equity Fund Plan A- Growth	+1.19%
Bsl Comm Eq Fund – Global Agri Plan – Growth	+1.01%
Religare Invesco Global Equity Income Fund – Regular Plan – Growth	+0.71%

Worst
Franklin India Opportunities Fund – Growth	-3.67%
IDBI India Top 100 Equity Fund Growth	-3.70%
LIC NOMURA MF Growth Fund – Growth Option	-3.72%
MOSt Focused Midcap 30-Regular Plan-Growth Option	-3.98%
UTI Leadership Equity Fund-Growth-Growth option	-4.00%
Birla Sun Life Advantage Fund – Regular Growth	-4.22%
Religare Invesco AGILE Fund – Growth Option	-4.37%

Bond Mutual Funds

Best
BNP Paribas Government Securities Fund – Growth	+0.26%
DSP BlackRock Constant Maturity 10Y G-Sec Fund – Regular Plan – Growth	+0.23%
JPMorgan India Corporate Debt Opportunities Fund – Regular Plan – Growth Option	+0.22%
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option	+0.22%
Axis Constant Maturity 10 Year Fund – Growth Option	+0.21%
Canara Robeco Dynamic Bond Fund – Regular Plan – Growth	+0.21%
SBI Benchmark Gsec Fund – Regular Plan – Growth Option	+0.20%

Worst
DWS PREMIER BOND FUND INST PLAN GROWTH	+0.03%
IDBI Gilt Fund Growth	+0.03%
JM G-Sec Fund-Regular Plan-Growth Plan – Growth Option	+0.03%
DWS Gilt Fund Growth	-0.02%
HDFC Inflation Indexed Bond Fund – Regular Growth	-0.16%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH	-0.17%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth	-0.22%

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Categories Your Money Tags weekly

Index Update 18.04.2015

stockviz April 18, 2015April 18, 2015

MOMENTUM

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

Refactored Index Performance

50-day performance, from February 03, 2015 through April 17, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+9.94%	CNX PHARMA (CAP)	+5.90%
CNX IT (EQUAL)	+4.64%	CNX INFRA (CAP)	+1.64%
NI15 (EQUAL)	+3.39%	NI15 (CAP)	+1.27%
CNX CONSUMPTION (EQUAL)	+1.76%	CNX FMCG (CAP)	+1.24%
CNX PSE (EQUAL)	-0.52%	CNX CONSUMPTION (CAP)	+0.19%
CNX ENERGY (EQUAL)	-0.78%	CNX MNC (CAP)	-0.46%
CPSE INDEX (EQUAL)	-0.92%	CNX IT (CAP)	-1.19%
CNX INFRA (EQUAL)	-0.97%	CNX PSE (CAP)	-1.46%
CNX AUTO (EQUAL)	-1.28%	LIX15 Midcap (CAP)	-1.51%
CNX MNC (EQUAL)	-1.36%	CNX ENERGY (CAP)	-1.53%
CNX COMMODITIES (EQUAL)	-1.50%	CNX METAL (CAP)	-1.80%
CNX PHARMA (EQUAL)	-1.65%	CNX COMMODITIES (CAP)	-1.88%
CNX MEDIA (EQUAL)	-2.11%	CNX SERVICE (CAP)	-1.91%
CNX SERVICE (EQUAL)	-2.59%	CNX AUTO (CAP)	-2.70%
CNX METAL (EQUAL)	-2.95%	CPSE INDEX (CAP)	-2.82%
LIX15 Midcap (EQUAL)	-2.99%	CNX FINANCE (CAP)	-3.43%
CNX FINANCE (EQUAL)	-3.93%	NV20 (CAP)	-3.84%
CNX REALTY (EQUAL)	-4.17%	CNX PSU BANK (CAP)	-4.89%
NV20 (EQUAL)	-4.30%	CNX REALTY (CAP)	-5.09%
CNX BANK (EQUAL)	-4.72%	CNX BANK (CAP)	-5.39%
LIX 15 (EQUAL)	-5.42%	LIX 15 (CAP)	-6.05%
CNX PSU BANK (EQUAL)	-7.84%	CNX MEDIA (CAP)	-6.91%